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Firm-Level Evidenceon International Stock Market Comovement

Firm-Level Evidenceon International Stock Market Comovement »

Source: Firm-Level Evidenceon International Stock Market Comovement

Volume/Issue: 2003/55

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451847642

Keywords: Diversification, risk, stock market, global stock market, stock returns, capital account restrictions, capital markets,

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model...

Financial Soundness Indicators and the Characteristics of Financial Cycles

Financial Soundness Indicators and the Characteristics of Financial Cycles »

Source: Financial Soundness Indicators and the Characteristics of Financial Cycles

Volume/Issue: 2014/14

Series: IMF Working Papers

Author(s): Natasha Che , and Yoko Shinagawa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 January 2014

ISBN: 9781484386880

Keywords: financial cycle, capital ratio, banking, banking system, capital adequacy, subsidiaries, Financial Markets and the Macroeconomy, General,

Better 'financial soundness' of banks could help mitigate the volatility of financial cycles by reducing banks' risk exposure. But trying to improve financial soundness in the midst of a downturn can do the opposit...

Banking Competition and Capital Ratios

Banking Competition and Capital Ratios »

Source: Banking Competition and Capital Ratios

Volume/Issue: 2007/216

Series: IMF Working Papers

Author(s): Martin Cihak , and Klaus Schaeck

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2007

ISBN: 9781451867800

Keywords: Bank capital ratios, market structure, regulation, banking, statistic, statistics, bank capital, deposit insurance,

We use data for more than 2,600 European banks to test whether increased competition causes banks to hold higher capital ratios. Employing panel data techniques, and distinguishing between the competitive conduct o...

Assessing the Impact of a Change in the Composition of Public Spending

Assessing the Impact of a Change in the Composition of Public Spending »

Source: Assessing the Impact of a Change in the Composition of Public Spending : A DSGE Approach

Volume/Issue: 2007/168

Series: IMF Working Papers

Author(s): Ivan Tchakarov , and Roland Straub

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867329

Keywords: Public consumption, DSGE models, private investment, private capital, competitive markets, budget constraint,

Despite intense calls for safeguarding public investment in Europe, public investment expenditure, when measured in relation to GDP, has steadily fallen in the last three decades, evoking fears that economic activi...

Introduction to Applied Stress Testing

Introduction to Applied Stress Testing »

Source: Introduction to Applied Stress Testing

Volume/Issue: 2007/59

Series: IMF Working Papers

Author(s): Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2007

ISBN: 9781451866230

Keywords: banking, foreign exchange, capital adequacy, financial stability, financial sector, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illus...

Fat-Tails and their (Un)Happy Endings

Fat-Tails and their (Un)Happy Endings »

Source: Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

Firm-Level Evidenceon International Stock Market Comovement

Firm-Level Evidenceon International Stock Market Comovement »

Volume/Issue: 2003/55

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

DOI: http://dx.doi.org/10.5089/9781451847642.001

ISBN: 9781451847642

Keywords: Diversification, risk, stock market, global stock market, stock returns, capital account restrictions, capital markets,

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model...

Financial Soundness Indicators and the Characteristics of Financial Cycles

Financial Soundness Indicators and the Characteristics of Financial Cycles »

Volume/Issue: 2014/14

Series: IMF Working Papers

Author(s): Natasha Che , and Yoko Shinagawa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 January 2014

DOI: http://dx.doi.org/10.5089/9781484386880.001

ISBN: 9781484386880

Keywords: financial cycle, capital ratio, banking, banking system, capital adequacy, subsidiaries, Financial Markets and the Macroeconomy, General,

Better 'financial soundness' of banks could help mitigate the volatility of financial cycles by reducing banks' risk exposure. But trying to improve financial soundness in the midst of a downturn can do the opposit...

Banking Competition and Capital Ratios

Banking Competition and Capital Ratios »

Volume/Issue: 2007/216

Series: IMF Working Papers

Author(s): Martin Cihak , and Klaus Schaeck

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2007

DOI: http://dx.doi.org/10.5089/9781451867800.001

ISBN: 9781451867800

Keywords: Bank capital ratios, market structure, regulation, banking, statistic, statistics, bank capital, deposit insurance,

We use data for more than 2,600 European banks to test whether increased competition causes banks to hold higher capital ratios. Employing panel data techniques, and distinguishing between the competitive conduct o...

Assessing the Impact of a Change in the Composition of Public Spending
			: A DSGE Approach

Assessing the Impact of a Change in the Composition of Public Spending : A DSGE Approach »

Volume/Issue: 2007/168

Series: IMF Working Papers

Author(s): Ivan Tchakarov , and Roland Straub

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

DOI: http://dx.doi.org/10.5089/9781451867329.001

ISBN: 9781451867329

Keywords: Public consumption, DSGE models, private investment, private capital, competitive markets, budget constraint,

Despite intense calls for safeguarding public investment in Europe, public investment expenditure, when measured in relation to GDP, has steadily fallen in the last three decades, evoking fears that economic activi...